Simulator Models for the Limit Order Book Dynamics and their Applications
Thanks to funding from the Montreal Institute of Structured Finance and Derivatives (IFSID), I am currently setting up a new research...
Modeling and Simulation of High Frequency Features of Market Prices
In partnership with National Bank of Canada, we look at "zero-intelligence" simulator models in order to reproduce high-frequency...
On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk t
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the so-called expected discounted penalty...
Trend Detection Using a Statistical Learning Algorithm: An Exercice in Algorithmic Trading
In partnership with a private broker, we explored various machine learning methods in order to produce a trend-detecting algorithm that...
Identifying Structural Regime Changes with Self-Organizing Maps in Financial Markets
In partnership with CIBC Asset Management, we explored the applications of Self-organizing maps in detecting macro-economical regime...
